I downloaded northwind, clicked on instnwnd and executed it in SQL Express. I get a ton of nasty messages like :

Msg 229, Level 14, State 5, Line 3
The SELECT permission was denied on the object 'sysaltfiles', database 'mssqlsystemresource', schema 'sys'.
Msg 262, Level 14, State 1, Line 1
CREATE DATABASE permission denied in database 'master'.
Msg 15010, Level 16, State 1, Procedure sp_dboption, Line 64
The database 'Northwind' does not exist. Supply a valid database name. To see available databases, use sys.databases.

Furthermore, I cannot get northwind to show up in Available Databases when I try a query.

When I try installing Pubs I get :
Beginning InstPubs.SQL at 13 Feb 2010 23:45:19:000 ....
Msg 50000, Level 1, State 1
Msg 3505, Level 14, State 4, Line 2
Only the owner of database "master" or someone with relevant permissions can run the CHECKPOINT statement.
Creating pubs database....

Also lost with installing Adventureworks

In case you can't tell, I'm totally new to Microsoft SQL.

Help!